1 code implementation • 5 Mar 2024 • Christian Bayer, Chiheb Ben Hammouda, Antonis Papapantoleon, Michael Samet, Raúl Tempone
Nonetheless, the applicability of RQMC on the unbounded domain, $\mathbb{R}^d$, requires a domain transformation to $[0, 1]^d$, which may result in singularities of the transformed integrand at the corners of the hypercube, and deteriorate the rate of convergence of RQMC.
no code implementations • 1 Mar 2024 • Antonis Papapantoleon, Jasper Rou
We develop a novel deep learning approach for pricing European options in diffusion models, that can efficiently handle high-dimensional problems resulting from Markovian approximations of rough volatility models.
no code implementations • 12 Jan 2024 • Emmanuil H. Georgoulis, Antonis Papapantoleon, Costas Smaragdakis
We develop a novel deep learning approach for pricing European basket options written on assets that follow jump-diffusion dynamics.
no code implementations • 14 Jul 2023 • Laurens Van Mieghem, Antonis Papapantoleon, Jonas Papazoglou-Hennig
We consider the supervised learning problem of learning the price of an option or the implied volatility given appropriate input data (model parameters) and corresponding output data (option prices or implied volatilities).
1 code implementation • 15 Mar 2022 • Michael Samet, Christian Bayer, Chiheb Ben Hammouda, Antonis Papapantoleon, Raúl Tempone
First, we smooth the Fourier integrand via an optimized choice of the damping parameters based on a proposed optimization rule.
1 code implementation • 25 Jun 2020 • Ariel Neufeld, Antonis Papapantoleon, Qikun Xiang
We consider derivatives written on multiple underlyings in a one-period financial market, and we are interested in the computation of model-free upper and lower bounds for their arbitrage-free prices.
Optimization and Control Probability Computational Finance Mathematical Finance Pricing of Securities
no code implementations • 14 Feb 2020 • Antonis Papapantoleon, Paulo Yanez Sarmiento
We are interested in the existence of equivalent martingale measures and the detection of arbitrage opportunities in markets where several multi-asset derivatives are traded simultaneously.